An Example of Martingale Representation in Progressive Enlargement by an Accessible Random Time

DOI10.1007/978-3-030-22285-7_4zbMath1498.60166OpenAlexW2971018537MaRDI QIDQ5038292

Barbara Torti, Antonella Calzolari

Publication date: 30 September 2022

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-22285-7_4

zbMATH Keywords

enlargement of filtrationsemi-martingalescompleteness of a financial marketpredictable representations property

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Stochastic integrals (60H05)

Cites Work

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• Mathematical methods for financial markets.
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• The multiplicity of an increasing family of \(\sigma\)-fields
• General dynamic term structures under default risk
• Enlargement of filtration and predictable representation property for semi-martingales
• The property of predictable representation of the sum of independent semimartingales
• MODELING SOVEREIGN RISKS: FROM A HYBRID MODEL TO THE GENERALIZED DENSITY APPROACH
• Martingale representations in progressive enlargement by the reference filtration of a semi-martingale: a note on the multidimensional case
• Carthaginian enlargement of filtrations
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